Fugazza, Carolina; Guidolin, Massimo; Nicodano, Giovanna - Federal Reserve Bank of St. Louis - 2006
using predictive regressions that employ typical variables such as the 1-month T-bill
rate, the term spread, the default … short-term rate by applying a truncation that
corresponds to the minimum realized value of R
f
t,T
over each set of N … yield is expressed in real terms as the
difference between the nominal yield and the monthly rate of change in a Euro …